statsmodels.stats.diagnostic.linear_lm

statsmodels.stats.diagnostic.linear_lm(resid, exog, func=None)[source]

Lagrange multiplier test for linearity against functional alternative

# TODO: Remove the restriction limitations: Assumes currently that the first column is integer. Currently it does not check whether the transformed variables contain NaNs, for example log of negative number.

Parameters:
residndarray

residuals of a regression

exogndarray

exogenous variables for which linearity is tested

funccallable, default None

If func is None, then squares are used. func needs to take an array of exog and return an array of transformed variables.

Returns:
lmfloat

Lagrange multiplier test statistic

lm_pvalfloat

p-value of Lagrange multiplier tes

ftestContrastResult instance

the results from the F test variant of this test

Notes

Written to match Gretl’s linearity test. The test runs an auxiliary regression of the residuals on the combined original and transformed regressors. The Null hypothesis is that the linear specification is correct.


Last update: Apr 12, 2024